This paper introduces a newapproach to face capital allocation problems from the perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the relations between the notions of sub-acceptability and acceptability of a risky position as well as their impact on the allocation of risk. We define the notion of risk contribution rule and show how in this context it is interpretable as a tool for assessing the contribution of a subportfolio to a given portfolio in terms of acceptability without necessarily involving a risk measure. Furthermore, we investigate under which conditions on a risk contribution rule a representation of an acceptance set holds in terms of the risk contribution rule itself, thus extending to this setting the interpretation, classical in risk measures theory, of minimal amount required to hedge a risky position.

Capital Allocation rules and acceptance sets

Centrone Francesca
;
2020-01-01

Abstract

This paper introduces a newapproach to face capital allocation problems from the perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the relations between the notions of sub-acceptability and acceptability of a risky position as well as their impact on the allocation of risk. We define the notion of risk contribution rule and show how in this context it is interpretable as a tool for assessing the contribution of a subportfolio to a given portfolio in terms of acceptability without necessarily involving a risk measure. Furthermore, we investigate under which conditions on a risk contribution rule a representation of an acceptance set holds in terms of the risk contribution rule itself, thus extending to this setting the interpretation, classical in risk measures theory, of minimal amount required to hedge a risky position.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11579/111650
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